Stochastic Differential Equations Tutorial-- spring semester 2017


This page is about the practice class (tutorial) given by Imre Péter Tóth.
For the main page of the course, see http://math.bme.hu/~balint/oktatas/sde/

Results of the homeworks AND THE EXAMS here.

QUESTIONS AND ANSWERS sessions before the first exams:

• Monday, 22.05.2017, 10:00 in room H607.
• Monday, 29.05.2017, 10:00 in room H45/a.
• Monday, 12.06.2017, 10:00 in room H406. WARNING: new location.

PROBLEM SETS, HOMEWORK ASSIGNMENTS:

Problem sheets	Homework assignments	Due date	Solutions
1. Brownian motion	1.1, 1.2, 1.5, 1.13	16 Feb
(An error in Ex. 1.15 corrected - sorry)	1.6, 1.12, 1.14, 1.15	02 Mar	solutions
2. Martingales	2.4, 2.5, 2.6, 2.7	09 Mar	solutions
3. Ito calculus	3.1, 3.2, 3.3, 3.4	16 Mar
	3.5, 3.7, 3.10, 3.12	30 Mar	solutions
4. Stochastic differential equations	4.2, 4.3, 4.4, 4.5	06 Apr	solutions
5. Diffusions	5.1, 5.3, 5.6	delayed	solutions
6. Semigroups, Hille-Yosida, Feynman-Kac	CANCELLED	CANCELLED	solutions don't exist yet
7. Girsanov’s formula	7.2, 7.3, 7.4	11 May	solutions

Rules for evaluating the homeworks:

Signature: To get the signature, at most 30% of the assigned homeworks can be missed. Since there were 30 exercises, this means that at most 9 can be missed. In other words, the signature will be given to those who SUBMITTED solutions to at least 21 homework exercises - regardless of the score for these submissions.

Final grade: The homeworks are counted into the final grade with 20% weight. For this purpose, the solutions submitted to each exercise are first evaluated with the following code:

• 3 means the solution is correct.
• 2 means the solution is essentially correct, but there is some error.
• 1 means the student started on a good track, but could not solve the problem.
• 0 means the solution is completely wrong.

In the end, these codes are translated into scores using the following rule:

• "correct" (code 3) is worth 1 score,
• "essentially correct" (code 2) is worth 0.8 scores,
• "started" and "wrong" (codes 1 and 0) are worth no scores at all.

So the maximum possible homework score is 30, and the score actually reached will me viewed as a percentage of this.